Abstract #300162

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JSM 2003 Abstract #300162
Activity Number: 56
Type: Contributed
Date/Time: Sunday, August 3, 2003 : 4:00 PM to 5:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #300162
Title: Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
Author(s): Byeong U. Park*+ and Lijian Yang
Companies: Seoul National University and Michigan State University
Address: Department of Statistics, Seoul 151-747, , , Korea
Keywords: equivalent kernels ; German real GNP ; local polynomial ; marginal integration ; rate of convergence
Abstract:

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical results are derived under the fairly general conditions of absolute regularity (beta-mixing). Application of the test procedure to the West German real GNP data reveals that a partially linear varying coefficient model fits best the data dynamics, a fact that is also confirmed with residual diagnostics.

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